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Nonlinear Dynamics And The Distribution Of Daily Stock Index Returns

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  • B. Wade Brorsen
  • Seung-Ryong Yang

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  • B. Wade Brorsen & Seung-Ryong Yang, 1994. "Nonlinear Dynamics And The Distribution Of Daily Stock Index Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 187-203, June.
    • Handle: RePEc:bla:jfnres:v:17:y:1994:i:2:p:187-203
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1994.tb00185.x
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    References listed on IDEAS

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    1. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    2. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.
    3. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    4. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    7. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    8. Akgiray, Vedat & Booth, G Geoffrey, 1988. "Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 631-637, November.
    9. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    10. Ball, Clifford A & Torous, Walter N, 1985. "On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-173, March.
    11. Hsieh, David A., 1988. "The statistical properties of daily foreign exchange rates: 1974-1983," Journal of International Economics, Elsevier, vol. 24(1-2), pages 129-145, February.
    12. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Chenyang Feng & Stephen D. Smith, 1997. "Jump risk, time-varying risk premia, and technical trading profits," FRB Atlanta Working Paper 97-17, Federal Reserve Bank of Atlanta.
    2. Saphores, J.D. & Khalaf, L. & Pelletier, D., 2000. "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Papers 00-03, Laval - Recherche en Energie.
    3. Evzen Kocenda & Lubos Briatka, 2005. "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 265-296.
    4. Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).
    5. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008. "Forecasting commodity prices: GARCH, jumps, and mean reversion," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
    6. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
    7. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    9. Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
    10. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-Francois, 2003. "Simulation-based exact jump tests in models with conditional heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 531-553, December.
    11. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    12. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    13. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
    14. Drama Bedi Guy HERVE & Yao SHEN, 2010. "Management Of Stock Price And Its Effect On Economic Growth: Case Study Of West African Financial Markets," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
    15. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity," Cahiers de recherche 0004, Université Laval - Département d'économique.

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